Econometrica: Jul 2013, Volume 81, Issue 4

Robust Predictions in Games With Incomplete Information

https://doi.org/10.3982/ECTA11105
p. 1251-1308

Dirk Bergemann, Stephen Morris

We analyze games of incomplete information and offer equilibrium predictions that are valid for, and in this sense robust to, all possible private information structures that the agents may have. The set of outcomes that can arise in equilibrium for some information structure is equal to the set of . We completely characterize the set of Bayes correlated equilibria in a class of games with quadratic payoffs and normally distributed uncertainty in terms of restrictions on the first and second moments of the equilibrium action–state distribution. We derive exact bounds on how prior knowledge about the private information refines the set of equilibrium predictions.

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